Susana Yu

State University in New York / Plattsburgh

Dr.

101 Broad Street

Plattsburgh, NY 12901

United States

SCHOLARLY PAPERS

7

DOWNLOADS

27

SSRN CITATIONS

0

CROSSREF CITATIONS

0

Scholarly Papers (7)

Looking Back: Quantitative Analysis Before Computers

Number of pages: 10 Posted: 10 Jan 2005
Independent, AnswerToGo, City University of New York (CUNY) - Baruch College and State University in New York / Plattsburgh
Downloads 27 (700,912)

Abstract:

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2.

Empirical Study on Price Momentum Strategy for Long, Short, and Long/Short Equity Portfolios: Optimal Rebalancing Period and Optimal Size

Journal of Wealth Management, Summer 2003
Posted: 10 Jul 2006
Susana Yu and Avner Wolf
State University in New York / Plattsburgh and Baruch College

Abstract:

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Momentum Strategy

3.

An Examination of Average Returns, Dispersion of Average Returns, and Bid-Ask Quotes

Journal of Wealth Management, Spring 2003
Posted: 07 Jul 2006
Susana Yu and Avner Wolf
State University in New York / Plattsburgh and Baruch College

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Bid-Ask Quotes, Spread of Returns

4.

Nasdaq-100 Index Futures: Intraday Momentum or Reversal?

Posted: 29 Apr 2005
Susana Yu, Joel Rentzler and Avner Wolf
State University in New York / Plattsburgh, City University of New York (CUNY) - Baruch College and Baruch College

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Index futures, overreaction, market efficiency

5.

Intraday Price Reversals in the Us Stock Index Futures Market: A 15-Year Study

Posted: 15 Apr 2005
James L. Grant, Avner Wolf and Susana Yu
Independent, Baruch College and State University in New York / Plattsburgh

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Index Futures, Overreactions Market Efficiency

6.

Long-Short Strategies May Not Be Factor-Neutral

Posted: 15 Sep 2004
Susana Yu, Joel Rentzler and Avner Wolf
State University in New York / Plattsburgh, City University of New York (CUNY) - Baruch College and Baruch College

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Factor-Neutral, Trading Strategies

7.

Can Simple Buy and Sell Rules Increase Index Future Day Trading Profitability?

Journal of Investment Management, Vol. 2, No. 1, First Quarter 2004
Posted: 12 Apr 2004
Joel Rentzler and Susana Yu
City University of New York (CUNY) - Baruch College and State University in New York / Plattsburgh

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Index Futures, Market Efficiency, Day Trading